Showing 31 - 40 of 121,663
We find evidence for the beta anomaly in mutual fund performance. This anomaly is not accounted for in the standard four-factor framework, nor by the addition of a BAB factor to the benchmark model. We identify the active component of alpha (i.e., active alpha) not attributable to the passive...
Persistent link: https://www.econbiz.de/10012850886
This study reexamines the relation between downside beta and equity returns in the U.S. First, we replicate Ang, Chen and Xing (2006) who find a positive relation between downside beta and future equity returns for equal-weighted portfolios of NYSE stocks. We show that this relation doesn't hold...
Persistent link: https://www.econbiz.de/10012853738
Using several multi-factor models, I find strong "betting against beta'' effects - flat relations between betas and expected returns - for most non-market factors in US and international stock markets. "Arbitrage portfolios'' designed to profit from these effects earn average returns similar to...
Persistent link: https://www.econbiz.de/10012841238
By choosing investment strategies that intentionally create exposure to factor betas, investors may be obtaining uncompensated risks. We show across a wide variety of factors and geographical markets that factors constructed from fundamental characteristics have earned high returns, whereas...
Persistent link: https://www.econbiz.de/10012585863
The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...
Persistent link: https://www.econbiz.de/10012264452
employing the Capital Asset Pricing Model (CAPM), we evaluate the performance of fifty ETFs according to their rating by the …
Persistent link: https://www.econbiz.de/10012167185
This paper examines the stochastic behaviour of the realized betas within the one-factor CAPM for the six companies …
Persistent link: https://www.econbiz.de/10012194334
The capital asset pricing model has failed to explain the effect of systematic risk (referred to as beta) on actual stock market returns. Accordingly, this study analyzes daily returns by splitting it into overnight and daytime returns. The study analysis empirically confirms a positive...
Persistent link: https://www.econbiz.de/10012592728
When using high-frequency data, the conditional CAPM can explain asset-pricing anomalies. Using conditional betas based … as well as 3 out of 6 of the anomaly component excess returns. Using high-frequency betas, the conditional CAPM is able …
Persistent link: https://www.econbiz.de/10012892813
A direct measure of the cyclicality of momentum at a given point in time, its bottom-up beta with respect to the market, forecasts both the returns and the risk of the strategy. Challenging a potential risk-based explanation, a highly cyclical momentum portfolio forecasts both higher risk and...
Persistent link: https://www.econbiz.de/10013007972